[DRAFT] Add bulk subscription and historical request support for Databento adapter #3490
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…apter - Add bulk instrument_id support to historical requests (bars, quotes, trades) - Add batched definition subscriptions (_ensure_subscribed_for_instruments) - Add subscription acknowledgement handling with configurable timeout - Add consolidated schema support (OHLCV-1S, OHLCV-1M, OHLCV-1H, OHLCV-1D) - Fix zero-length interval edge case at dataset boundary - Add subscribe_order_book_snapshots and subscribe_quote_ticks bulk methods
shzhng
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Pull Request
NautilusTrader prioritizes correctness and reliability, please follow existing patterns for validation and testing.
CONTRIBUTING.mdand followed the established practicesSummary
This PR adds bulk subscription and historical request support for the Databento adapter, enabling efficient batch operations for multiple instruments. This improves performance when subscribing to or requesting historical data for many instruments at once.
Key changes:
_ensure_subscribed_for_instruments)subscribe_order_book_snapshotsandsubscribe_quote_ticksbulk methodsRelated Issues/PRs
N/A
Type of change
Breaking change details (if applicable)
N/A - This is an additive feature that adds new bulk methods alongside existing single-instrument methods.
Documentation
docs/developer_guide/docs.md)Release notes
RELEASES.mdthat follows the existing conventions (when applicable)Testing
Tested in live trading environment with Databento data feed.